You should be able to do it with adb. I don't have any links or info on that atm, but I'm sure you can find out how with a google search. I've only used adb once and I believe I got it from code.google.com from the android SDK.

There's also an "App Manager" file that does back-ups. Not sure if it saves data. Titanium also has a dropbox add-in....Haven't used it but I assume it will save your back-ups to dropbox and then you won't need to transfer the files to your computer.

App Brain will also save the applications you have stored on your Droid with a simple launching of the app on your phone and clicking "sync".